Pengaruh Risiko Geopolitik terhadap Yield Obligasi Pemerintah: Studi Komparatif pada Negara High Income, Upper-Middle Income, dan Lower-Middle Income

Abstract

Risiko geopolitik dalam satu dekade terakhir menjadi determinan penting harga aset keuangan, sehingga penelitian ini menganalisis pengaruh GPR country-specific terhadap yield obligasi pemerintah tenor 10 tahun sekaligus menguji perbedaannya antara kelompok High Income Countries (HIC), Upper-Middle Income Countries (UMIC), dan Lower-Middle Income Countries (LMIC). Menggunakan data panel bulanan 14 negara periode Januari 2015–Desember 2024 (1.649 observasi) yang diestimasi melalui Interaction fixed effect dengan robust standard error HC3/Arellano serta kontrol suku bunga kebijakan dan nilai tukar, GPR terbukti berpengaruh positif dan signifikan terhadap yield pada kelompok HIC (ß1 = 0,493; p < 0,001) yang mengindikasikan dominasi risk premium atas flight-to-quality, sementara perbedaan sensitivitas UMIC maupun LMIC terhadap HIC dan gradien antarkelompok (uji Wald) tidak signifikan. Dengan demikian, pengaruh risiko geopolitik terhadap yield obligasi bersifat nyata pada negara maju, tetapi tidak berbeda secara sistematis menurut tingkat pendapatan negara.

Over the past decade, geopolitical risk has become an important determinant of financial asset prices, and this study therefore analyzes the effect of country-specific GPR on 10-year government bond yields while examining whether this effect differs across High income Countries (HIC), Upper-middle income Countries (UMIC), and Lower-middle income Countries (LMIC). Using monthly panel data of 14 countries from January 2015 to December 2024 (1,649 observations) estimated through an Interaction fixed effect model with HC3/Arellano robust standard errors and controlling for policy rate and exchange rate, GPR has a positive and significant effect on yields in HIC (ß1 = 0.493; p < 0.001), indicating that the risk premium mechanism dominates flight-to-quality, whereas differences in yield sensitivity of UMIC and LMIC relative to HIC and the cross-group gradient (Wald test) are not significant. The study concludes that the effect of geopolitical risk on bond yields is evident in developed countries but does not differ systematically by national income level.